Call me pedantic, but Preferences is not where you convert the files, it's where you set which format the conversions will be in, hence the answer I provided in my last post. The conversion option is under File/Convert/Create MP3 version. Once you have set the format in Preferences (it's actually in Edit/Preferences/General>Import Settings>Import Using: > MP3 Encoder) you can then (and only then) use the iTunes menu option to "convert" them.
Something to note though is that iTunes doesn't actually convert the files; instead it creates a new copy, in your chosen format. So it does not "replace" the original version, it adds a new one. Therefore, if you check in your iTunes Library, you should find two copies of the songs: the originals in m4a and the copies in the new (MP3) format (the conversion). As a consequence, perhaps you have copied the original songs and not the ones created by the conversion.
Check the album in your iTunes Library; are there two copies of the songs on the album? If so (and there should be), make sure that you identify the correct versions for your export. You can use the Date Added to work out which are the conversions, or you can (in the Songs view) use the Kind column to identify the different versions.
